Abstract
When we model returns using a GARCH process with normally distributed innovations, we have already taken into account the second stylised fact (see Chap. 13).
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Franke, J., Härdle, W.K., Hafner, C.M. (2019). Statistics of Extreme Risks. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_18
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